Regime switching model for financial data: empirical risk analysis

in Physica A. Statistical Mechanics and its Applications (2016), 461

This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes ... [more ▼]

This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes volatility clustering into account. In the first stage, HMM is used to classify data in crisis and steady periods, while in the second stage, EVT is applied to the previously classified data to rub out the delay between regime switching and their detection. This new model is applied to prices of numerous stocks exchanged on NYSE Euronext Paris over the period 2001–2011. We focus on daily returns for which calibration has to be done on a small dataset. The relative performance of the regime switching model is benchmarked against other well-known modeling techniques, such as stable, power laws and GARCH models. The empirical results show that the regime switching model increases predictive performance of financial forecasting according to the number of violations and tail-loss tests. This suggests that the regime switching model is a robust forecasting variant of power laws model while remaining practical to implement the VaR measurement. [less ▲]

Interrogating surface length spectra and quantifying isospectrality

E-print/Working paper (2016)

This article is about inverse spectral problems for hyperbolic surfaces and in particular how length spectra relate to the geometry of the underlying surface. A quantitative answer is given to the ... [more ▼]

This article is about inverse spectral problems for hyperbolic surfaces and in particular how length spectra relate to the geometry of the underlying surface. A quantitative answer is given to the following: how many questions do you need to ask a length spectrum to determine it completely? In answering this, a quantitative upper bound is given on the number of isospectral but non-isometric surfaces of a given genus. [less ▲]

Eigenheime. Hauskonstrukte in Thomas Bernhards „Korrektur“.

in Christians, Heiko; Mein, Georg (Eds.) In Da House. Das Haus und seine Vorstellung in den Künsten und Wissenschaften. (2016)

Learned Fear of Gastrointestinal Sensations in Healthy Adults

in Clinical Gastroenterology and Hepatology (2016), 14(11), 155215582

Background & Aims Gastrointestinal symptom-specific fear and anxiety are important determinants of gastrointestinal symptom perception. We studied learning of fear toward innocuous gastrointestinal ... [more ▼]

Background & Aims Gastrointestinal symptom-specific fear and anxiety are important determinants of gastrointestinal symptom perception. We studied learning of fear toward innocuous gastrointestinal sensations as a putative mechanism in the development of gastrointestinal symptom-specific fear and anxiety. Methods Fifty-two healthy subjects (26 women) received 2 types of esophageal balloon distention at a perceptible but nonpainful intensity (conditioned stimulus [CS], the innocuous sensation) and at a painful intensity (unconditioned stimulus [US]). Subjects were assigned randomly to 1 of 2 groups. During the learning phase, the innocuous CS preceded the painful US in the experimental group (n = 26). In the control group (n = 26), on the contrary, the US never followed the CS directly. During a subsequent extinction phase, both groups received only CS distention—the painful US was no longer administered. Indexes of fear learning toward the innocuous CS distention included the skin conductance response, fear-potentiated startle (measured by the eye-blink electromyogram), and self-reported expectancy of the US. Results During the learning phase, only the experimental group learned to fear the innocuous gastrointestinal CS, based on the increase in US expectancy (compared with the control group, P = .04), increased skin conductance response (compared with the control group, P = .03), and potentiated startle reflex (compared with the control group, P = .001) in response to the CS. The differences between the experimental and control groups in US expectancy and skin conductance, but not fear-potentiated startle, disappeared during the extinction phase. Conclusions Fear toward innocuous gastrointestinal sensations can be established through associative learning in healthy human beings. This may be an important mechanism in the development of fear of gastrointestinal symptoms, implicated in the pathophysiology of functional gastrointestinal disorders. [less ▲]

Privacy-preserving Friendship-based Recommender Systems

in IEEE Transactions on Dependable and Secure Computing (2016, November)

Privacy-preserving recommender systems have been an active research topic for many years. However, until today, it is still a challenge to design an efficient solution without involving a fully trusted ... [more ▼]

Privacy-preserving recommender systems have been an active research topic for many years. However, until today, it is still a challenge to design an efficient solution without involving a fully trusted third party or multiple semitrusted third parties. The key obstacle is the large underlying user populations (i.e. huge input size) in the systems. In this paper, we revisit the concept of friendship-based recommender systems, proposed by Jeckmans et al. and Tang and Wang. These solutions are very promising because recommendations are computed based on inputs from a very small subset of the overall user population (precisely, a user’s friends and some randomly chosen strangers). We first clarify the single prediction protocol and Top-n protocol by Tang and Wang, by correcting some flaws and improving the efficiency of the single prediction protocol. We then design a decentralized single protocol by getting rid of the semi-honest service provider. In order to validate the designed protocols, we crawl Twitter and construct two datasets (FMT and 10-FMT) which are equipped with auxiliary friendship information. Based on 10-FMT and MovieLens 100k dataset with simulated friendships, we show that even if our protocols use a very small subset of the datasets, their accuracy can still be equal to or better than some baseline algorithm. Based on these datasets, we further demonstrate that the outputs of our protocols leak very small amount of information of the inputs, and the leakage decreases when the input size increases. We finally show that he single prediction protocol is quite efficient but the Top-n is not. However, we observe that the efficiency of the Top-n protocol can be dramatically improved if we slightly relax the desired security guarantee. [less ▲]

Towards legal compliance by correlating Standards and Laws with a semi-automated methodology

in Proceedings of the 28 Benelux Conference on Artificial Intelligence (BNAIC) (2016, November)

Since legal regulations do not generally provide clear parameters to determine when their requirements are met, achieving legal compliance is not trivial. If there were a clear correspondence between the ... [more ▼]

Since legal regulations do not generally provide clear parameters to determine when their requirements are met, achieving legal compliance is not trivial. If there were a clear correspondence between the provisions of a specific standard and the regulation’s requirements, one could implement the standard to claim a presumption of compliance. However, finding those correspondences is a complex process; additionally, correlations may be overridden in time, for instance, because newer court decisions change the interpretation of certain provisions. To help solve this problem, we present a framework that supports legal experts in recognizing correlations between provisions in a standard and requirements in a given law. The framework relies on state-of-the-art Natural Language Semantics techniques to process the linguistic terms of the two documents, and maintains a knowledge base of the logic representations of the terms, together with their defeasible correlations, both formal and substantive. An application of the framework is shown by comparing a provision of the European General Data Protection Regulation against the ISO/IEC 27018:2014 standard. [less ▲]

Report on the Oberwolfach Workshop "Computations in the Cohomology of Arithmetic Groups"

in Oberwolfach Reports (2016, November)

Explicit calculations play an important role in the theoretical development of the cohomology of groups and its applications. It is becoming more common for such calculations to be derived with the aid of ... [more ▼]

Explicit calculations play an important role in the theoretical development of the cohomology of groups and its applications. It is becoming more common for such calculations to be derived with the aid of a computer. This mini-workshop assembled together experts on a diverse range of computational techniques relevant to calculations in the cohomology of arithmetic groups and applications in algebraic K-theory and number theory with a view to extending the scope of computer aided calculations in this area. [less ▲]

Cohomologically enriched categories and DQ-modules

Presentation (2016, November)

Generation of genome-scale metabolic reconstructions for 773 members of the human gut microbiota

in Nature Biotechnology (2016)

Genome-scale metabolic models derived from human gut metagenomic data can be used as a framework to elucidate how microbial communities modulate human metabolism and health. We present AGORA (assembly of ... [more ▼]

Genome-scale metabolic models derived from human gut metagenomic data can be used as a framework to elucidate how microbial communities modulate human metabolism and health. We present AGORA (assembly of gut organisms through reconstruction and analysis), a resource of genome-scale metabolic reconstructions semi-automatically generated for 773 human gut bacteria. Using this resource, we identified a defined growth medium for Bacteroides caccae ATCC 34185. We also showed that interactions among modeled species depend on both the metabolic potential of each species and the nutrients available. AGORA reconstructions can integrate either metagenomic or 16S rRNA sequencing data sets to infer the metabolic diversity of microbial communities. AGORA reconstructions could provide a starting point for the generation of high-quality, manually curated metabolic reconstructions. AGORA is fully compatible with Recon 2, a comprehensive metabolic reconstruction of human metabolism, which will facilitate studies of host–microbiome interactions. [less ▲]

Multiculturalism, Identity and Difference. Experiences of Culture Contact

Book published by Palgrave Macmillan (2016)

Multicultural societies are a phenomenon that is increasingly observed worldwide. This book brings together theoretical perspectives and empirical evidence on how culture contact is experienced at the ... [more ▼]

Multicultural societies are a phenomenon that is increasingly observed worldwide. This book brings together theoretical perspectives and empirical evidence on how culture contact is experienced at the individual level. At the heart of this book lies the question of how individuals living within a multicultural society experience the meeting of cultures. The studies were conducted in Luxembourg, a country where the foreign population has reached 45%. Luxembourg is a “natural laboratory” and provides an ideal context in which to study culture contact phenomena and to derive lessons for an increasingly globalized world. The empirical studies indicate a gap between multiculturalist ideas and specific forms of societal participation. The policy implications of the findings are discussed. These include a focus on highlighting similarities between cultures rather than differences, and addressing the issue of reciprocity – expectations of both, the receiving society as well as immigrants. [less ▲]